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ES (Capital Unconstrained)
| Description |
The unconstrained expected shortfall charge |
| Reference |
[MAR33.15] |
| Notation |
$IMCC(C)$ |
| Formula |
$$IMCC(C)=ES_{R,S} \cdot \frac{ES_{R,C} }{ES_{R,C} }$$ |
This measure represents expected shortfall liquidity-adjusted and scaled to stress period across risk classes. Also referred to as “unconstrained”.
See also